I don't have Microsoft Plus!, do I have to buy this to run a Desktop Theme?

No, you don't have to have Microsoft Plus! to run a desktop theme. It is
recommended that you use the program, but there are shareware programs that can be used in
it's place. A couple of them are Create-A-Theme and Desktop Themes v1.4. These shareware programs offer you not only
the same features as Plus!, but also a few added features of their own.